Pricing Foreign Exchange Option Under Fractional Jump-Diffusions
Foreign exchange option, as a financial derivative, plays an important role in the financial market. It is of great theoretical and practical significance to study the foreign exchange options, especially its pricing model. In order to more accurately portray the authenticity of foreign exchange market, this paper applies fractional Brown motion in the fractal market hypothesis and combines with jump diffusion process so as to establish the pricing model of foreign exchange option. Moreover, this paper put forward the pricing formulas of European foreign exchange call and put option, as well as their relationships by using the method of insurance actuary pricing. No matter whether the financial market has arbitrage or not, no matter it is complete or not, this conclusion is valid.
Fractional Brownian motion; Jump-diffusion; Insurance actuary pricing; Foreign exchange option
- There are currently no refbacks.
If you have already registered in Journal A and plan to submit article(s) to Journal B, please click the CATEGORIES, or JOURNALS A-Z on the right side of the "HOME".
We only use the follwoing mailboxes to deal with issues about paper acceptance, payment and submission of electronic versions of our journals to databases:
Copyright © 2010 Canadian Research & Development Center of Sciences and Cultures
Address: 758, 77e AV, Laval, Quebec, Canada H7V 4A8
Telephone: 1-514-558 6138
E-mail:firstname.lastname@example.org email@example.com firstname.lastname@example.org